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Is Mexico's Forward Exchange Rate Market Efficient?

Author

Listed:
  • Alejandro Islas-Camargo

    (Department of Statistics, Instituto Tecnológico Autónomo de México (ITAM))

  • Willy Walter Cortez

    (Department of Quantitative Methods of the University of Guadalajara)

  • Tania Pamela Sanabria Flores

    (University of Strathclyde Banamex)

Abstract
El estudio prueba la hipótesis de no sesgo de la tasa forward de tipo de cambio para el mercado cambiario mexicano. Se utilizó un modelo no lineal de Markov con cambio de régimen en vez de un modelo de regresión lineal. El modelo identifica dos estados en el comportamiento del tipo de cambio forward : uno en el que la hipótesis nula de eficiencia se sostiene y otro en el que no. Con el modelo lineal la hipótesis se rechaza para ambas tasas forward, 30 y 90 días. Sin embargo, con el modelo de dos estados no es posible rechazar la hipótesis nula para la tasa forward de 30 días en el estado identificado como eficiente, pero se rechaza en el otro estado, En el caso de la tasa de 90 días no se distingue entre los dos estados. Por lo tanto, el modelo no lineal de Markov de dos estados es superior al modelo de regresión lineal para probar la hipotesis de no sesgo del tipo de cambio, la cual es rechazada en periodos de alta incertidumbre económica y política.

Suggested Citation

  • Alejandro Islas-Camargo & Willy Walter Cortez & Tania Pamela Sanabria Flores, 2018. "Is Mexico's Forward Exchange Rate Market Efficient?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 273-289, Abril-Jun.
    • Handle: RePEc:imx:journl:v:13:y:2018:i:2:p:273-289
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    References listed on IDEAS

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    More about this item

    Keywords

    Forward exchange rate; Unbiased Forward Exchange Rate Hypothesis; Mexican Foreign Exchange Market; Markov Switching; Market Efficiency;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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